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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
____________

FORM 8-K
CURRENT REPORT
PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES EXCHANGE ACT OF 1934

Date of Report (Date of earliest event reported):
November 3, 2021

CHIMERA INVESTMENT CORPORATION 
(Exact name of registrant as specified in its charter)
Maryland 1-33796 26-0630461
(State or Other Jurisdiction (Commission (IRS Employer
of Incorporation) File Number) Identification No.)

630 Fifth Avenue, STE 2400
New York, New York
(Address of principal executive offices)
10111
(Zip Code)

Registrant’s telephone number, including area code:   (212) 626-2300  

Securities registered pursuant to Section 12(b) of the Act:
Title of Each Class Trading Symbol(s) Name of Each Exchange on Which Registered
Common Stock, par value $0.01 per share CIM New York Stock Exchange
8.00% Series A Cumulative Redeemable Preferred Stock CIM PRA New York Stock Exchange
8.00% Series B Cumulative Fixed-to-Floating Rate Redeemable Preferred Stock CIM PRB New York Stock Exchange
7.75% Series C Cumulative Fixed-to-Floating Rate Redeemable Preferred Stock CIM PRC New York Stock Exchange
8.00% Series D Cumulative Fixed-to-Floating Rate Redeemable Preferred Stock CIM PRD New York Stock Exchange
Registrant's Web site address: www.chimerareit.com
(Former Name or Former Address, if Changed Since Last Report)

Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions:

Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)

Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)




Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))

Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))

Indicate by check mark whether the registrant is an emerging growth company as defined in Rule 405 of the Securities Act of 1933 (§230.405 of this chapter) or Rule 12b-2 of the Securities Exchange Act of 1934 (§240.12b-2 of this chapter).    

Emerging growth company

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.    




Item 2.02. Results of Operations and Financial Condition

On November 3, 2021, the registrant issued a press release announcing its financial results for the quarter ended September 30, 2021. A copy of the press release is furnished as Exhibit 99.1 to this report.

On November 3, 2021, the registrant posted supplemental financial information on the News & Events - Press Releases section of its website (www.chimerareit.com). A copy of the supplemental financial information is furnished as Exhibit 99.2 to this report and incorporated herein by reference.



Item 9.01 Financial Statements and Exhibits

(d)    Exhibits

99.1    Press Release, dated November 3, 2021, issued by Chimera Investment Corporation
99.2    Supplemental Financial Information for the quarter ended September 30, 2021









SIGNATURES
               Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.
      
Chimera Investment Corporation
        By: /s/ Subramaniam Viswanathan  
             Name:    Subramaniam Viswanathan            
             Title:    Chief Financial Officer

Date: November 3, 2021



CHIMERALOGOA18A.JPG
PRESS RELEASE
NYSE: CIM    
CHIMERA INVESTMENT CORPORATION
630 Fifth Ave, Ste 2400
New York, New York 10111
_________________________________________________________________________________________________

Investor Relations
888-895-6557
www.chimerareit.com
FOR IMMEDIATE RELEASE
CHIMERA INVESTMENT CORPORATION REPORTS 3RD QUARTER 2021 EARNINGS
3RD QUARTER GAAP NET INCOME OF $1.30 PER DILUTED COMMON SHARE
3RD QUARTER EARNINGS AVAILABLE FOR DISTRIBUTION(1) OF $0.42 PER DILUTED COMMON SHARE WHICH INCLUDES $0.06 OF INCOME FROM SECURITIES THAT HAVE BEEN CALLED
GAAP BOOK VALUE OF $12.32 PER COMMON SHARE
NEW YORK - (BUSINESS WIRE) - Chimera Investment Corporation (NYSE:CIM) today announced its financial results for the third quarter ended September 30, 2021. The Company’s GAAP net income for the third quarter was $313 million, or $1.30 per diluted common share. Earnings available for distribution(1) for the third quarter ended September 30, 2021 was $102 million, or $0.42 per diluted common share.

“Chimera’s disciplined approach to investing was rewarded as we committed to purchase nearly $850 million of new loans for the portfolio, highlighting our continued ability to acquire mortgage assets”, said Mohit Marria, Chimera’s CEO and Chief Investment Officer. “Chimera’s book value increased to $12.32 per share contributing to total economic return(2) of 10.5% for the third quarter of 2021.”

(1) Earnings available for distribution per adjusted diluted common share is a non-GAAP measure. See additional discussion on page 5.
(2) Economic return on book value is based on the change in GAAP book value per common share plus the dividend declared per common share.
1


Other Information
Chimera Investment Corporation is a publicly traded real estate investment trust, or REIT, that is primarily engaged in the business of investing directly or indirectly through its subsidiaries, on a leveraged basis, in a diversified portfolio of mortgage assets, including residential mortgage loans, Non-Agency RMBS, Agency CMBS, Agency RMBS, and other real estate related securities.

CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION
(dollars in thousands, except share and per share data)
(Unaudited)
September 30, 2021 December 31, 2020
Cash and cash equivalents $ 328,455  $ 269,090 
Non-Agency RMBS, at fair value (net of allowance for credit losses of $122 thousand and $180 thousand, respectively) 1,890,030  2,150,714 
Agency RMBS, at fair value 65,889  90,738 
Agency CMBS, at fair value 1,062,131  1,740,368 
Loans held for investment, at fair value 12,533,864  13,112,129 
Accrued interest receivable 74,011  81,158 
Other assets 49,844  78,822 
Total assets (1)
$ 16,004,224  $ 17,523,019 
Liabilities:    
Secured financing agreements ($5.0 billion and $6.7 billion pledged as collateral, respectively) $ 3,788,336  $ 4,636,847 
Securitized debt, collateralized by Non-Agency RMBS ($424 million and $505 million pledged as collateral, respectively) 92,204  113,433 
Securitized debt at fair value, collateralized by Loans held for investment ($11.3 billion and $12.4 billion pledged as collateral, respectively) 7,947,644  8,711,677 
Long term debt —  51,623 
Payable for investments purchased 192,552  106,169 
Accrued interest payable 20,388  40,950 
Dividends payable 85,255  77,213 
Accounts payable and other liabilities 29,297  5,721 
Total liabilities (1)
$ 12,155,676  $ 13,743,633 
Stockholders' Equity:    
Preferred Stock, par value of $0.01 per share, 100,000,000 shares authorized:
8.00% Series A cumulative redeemable: 5,800,000 shares issued and outstanding, respectively ($145,000 liquidation preference) $ 58  $ 58 
8.00% Series B cumulative redeemable: 13,000,000 shares issued and outstanding, respectively ($325,000 liquidation preference) 130  130 
7.75% Series C cumulative redeemable: 10,400,000 shares issued and outstanding, respectively ($260,000 liquidation preference) 104  104 
8.00% Series D cumulative redeemable: 8,000,000 shares issued and outstanding, respectively ($200,000 liquidation preference) 80  80 
Common stock: par value $0.01 per share; 500,000,000 shares authorized, 236,883,020 and 230,556,760 shares issued and outstanding, respectively 2,369  2,306 
Additional paid-in-capital 4,357,526  4,538,029 
Accumulated other comprehensive income 438,915  558,096 
Cumulative earnings 4,534,274  3,881,894 
Cumulative distributions to stockholders (5,484,908) (5,201,311)
Total stockholders' equity $ 3,848,548  $ 3,779,386 
Total liabilities and stockholders' equity $ 16,004,224  $ 17,523,019 
(1) The Company's consolidated statements of financial condition include assets of consolidated variable interest entities (“VIEs”) that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Chimera Investment Corporation). As of September 30, 2021, and December 31, 2020, total assets of consolidated VIEs were $10,865,801 and $12,165,017, respectively, and total liabilities of consolidated VIEs were $7,400,498 and $8,063,110, respectively.
2



CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF OPERATIONS
(dollars in thousands, except share and per share data)
(Unaudited)
  For the Quarters Ended For the Nine Months Ended
September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020
Net interest income:
Interest income (1)
$ 220,579  $ 247,905  $ 716,384  $ 794,094 
Interest expense (2)
71,353  124,557  260,029  395,897 
Net interest income 149,226  123,348  456,355  398,197 
Increase/(decrease) in provision for credit losses (386) (1,650) (58) 167 
Other investment gains (losses):  
Net unrealized gains (losses) on derivatives —  —  —  201,000 
Realized gains (losses) on terminations of interest rate swaps —  —  —  (463,966)
Net realized gains (losses) on derivatives —  —  —  (41,086)
Net gains (losses) on derivatives —  —  —  (304,052)
Net unrealized gains (losses) on financial instruments at fair value 239,524  260,766  545,643  (172,042)
Net realized gains (losses) on sales of investments —  65,041  45,313  167,275 
Gains (losses) on extinguishment of debt (25,622) (55,794) (284,535) (55,338)
Total other gains (losses) 213,902  270,013  306,421  (364,157)
Other expenses:  
Compensation and benefits 12,694  10,287  35,363  33,476 
General and administrative expenses 5,300  6,236  16,672  17,335 
Servicing and asset manager fees 9,297  9,473  27,659  30,074 
Transaction expenses 3,432  1,624  25,614  11,239 
Total other expenses 30,723  27,620  105,308  92,124 
Income (loss) before income taxes 332,791  367,391  657,526  (58,251)
Income tax expense (benefit) 1,323  62  5,146  130 
Net income (loss) $ 331,468  $ 367,329  $ 652,380  $ (58,381)
Dividends on preferred stock 18,438  18,438  55,313  55,313 
Net income (loss) available to common shareholders $ 313,030  $ 348,891  $ 597,067  $ (113,694)
Net income (loss) per share available to common shareholders:
Basic $ 1.33  $ 1.50  $ 2.57  $ (0.55)
Diluted $ 1.30  $ 1.32  $ 2.42  $ (0.55)
Weighted average number of common shares outstanding:
Basic 235,887,296  232,127,224  232,717,010  206,237,705 
Diluted 240,362,602  265,346,359  247,358,823  206,237,705 

(1) Includes interest income of consolidated VIEs of $138,984 and $171,442 for the quarters ended September 30, 2021 and 2020, respectively, and $446,198 and $515,250 for the nine months ended September 30, 2021 and 2020, respectively.

(2) Includes interest expense of consolidated VIEs of $43,525 and $74,753 for the quarters ended September 30, 2021 and 2020, respectively, and $159,666 and $210,198 for the nine months ended September 30, 2021 and 2020, respectively.

3


CHIMERA INVESTMENT CORPORATION
CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)
(dollars in thousands, except share and per share data)
(Unaudited)
For the Quarters Ended For the Nine Months Ended
September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020
Comprehensive income (loss):  
Net income (loss) $ 331,468  $ 367,329  $ 652,380  $ (58,381)
Other comprehensive income:  
Unrealized gains (losses) on available-for-sale securities, net (17,198) 40,470  (82,065) (97,334)
Reclassification adjustment for net realized losses (gains) included in net income —  (22,999) (37,116) (56,021)
Other comprehensive income (loss) (17,198) 17,471  (119,181) (153,355)
Comprehensive income (loss) before preferred stock dividends $ 314,270  $ 384,800  $ 533,199  $ (211,736)
Dividends on preferred stock $ 18,438  $ 18,438  $ 55,313  $ 55,313 
Comprehensive income (loss) available to common stock shareholders $ 295,832  $ 366,362  $ 477,886  $ (267,049)


4


Earnings available for distribution

Commencing with the quarter ended September 30, 2021, we will no longer report our non-GAAP measure of core earnings (and by calculation, core earnings per adjusted diluted common share). Instead, we are reporting the new measure Earnings available for distribution (and by calculation, earnings available for distribution per adjusted diluted common share).

Earnings available for distribution is a non-GAAP measure and is defined as GAAP net income excluding unrealized gains or losses on financial instruments carried at fair value with changes in fair value recorded in earnings, realized gains or losses on the sales of investments, gains or losses on the extinguishment of debt, interest expense on long term debt, changes in the provision for credit losses, and transaction expenses incurred. In addition, stock compensation expense charges incurred on awards to retirement eligible employees is reflected as an expense over a vesting period (36 months) rather than reported as an immediate expense.

As defined, Earnings available for distribution is the economic net interest income, as defined previously, reduced by compensation and benefits expenses (adjusted for awards to retirement eligible employees), general and administrative expenses, servicing and asset manager fees, income tax benefits or expenses incurred during the period, as well as the preferred dividend charges. We view Earnings available for distribution as a consistent measure of our investment portfolio's ability to generate income for distribution to common stockholders. Earnings available for distribution is one of the metrics, but not the exclusive metric, that our board of directors uses to determine the amount, if any, of dividends on our common stock. In addition, Earnings available for distribution is different than REIT taxable income and the determination of whether the Company has met the requirement to distribute at least 90% of its annual REIT taxable income (subject to certain adjustments) to its stockholders in order to maintain qualification as a REIT is not based on Earnings available for distribution. Therefore, Earnings available for distribution should not be considered as an indication of our REIT taxable income, a guaranty of our ability to pay dividends, or as a proxy for the amount of dividends we may pay, because Earnings available for distribution excludes certain items that impact our cash needs. We believe Earnings available for distribution as described above helps us and investors evaluate our financial performance period over period without the impact of certain transactions. Therefore, Earnings available for distribution should not be viewed in isolation and is not a substitute for net income or net income per basic share computed in accordance with GAAP. In addition, our methodology for calculating earnings available for distribution may differ from the methodologies employed by other REITs to calculate the same or similar supplemental performance measures, and accordingly, our Earnings available for distribution may not be comparable to the Earnings available for distribution reported by other REITs.

The following table provides GAAP measures of net income and net income per diluted share available to common stockholders for the periods presented and details with respect to reconciling the line items to Earnings available for distribution and related per average diluted common share amounts. Earnings available for distribution is presented on an adjusted dilutive shares basis. Certain prior period amounts have been reclassified to conform to the current period's presentation.

  For the Quarters Ended
  September 30, 2021 June 30, 2021 March 31, 2021 December 31, 2020 September 30, 2020
  (dollars in thousands, except per share data)
GAAP Net income available to common stockholders $ 313,030  $ 144,883  $ 139,153  $ 128,797  $ 348,891 
Adjustments:  
Net unrealized (gains) losses on financial instruments at fair value (239,524) (36,108) (270,012) (61,379) (260,766)
Net realized (gains) losses on sales of investments —  (7,517) (37,796) 329  (65,041)
(Gains) losses on extinguishment of debt 25,622  21,777  237,137  (919) 55,794 
Interest expense on long term debt 238  959  1,076  1,197  1,495 
Increase (decrease) in provision for credit losses (386) 453  (126) 13  (1,650)
Transaction expenses 3,432  5,745  16,437  3,827  1,624 
Stock Compensation expense for retirement eligible awards (365) (361) 661  (225) (275)
Earnings available for distribution $ 102,047  $ 129,831  $ 86,530  $ 71,640  $ 80,072 
GAAP net income per diluted common share $ 1.30  $ 0.60  $ 0.54  $ 0.49  $ 1.32 
Earnings available for distribution per adjusted diluted common share $ 0.42  $ 0.54  $ 0.36  $ 0.29  $ 0.33 


5


The following tables provide a summary of the Company’s MBS portfolio at September 30, 2021 and December 31, 2020.

  September 30, 2021
  Principal or Notional Value
at Period-End
(dollars in thousands)
Weighted Average Amortized
Cost Basis
Weighted Average Fair Value Weighted Average
Coupon
Weighted Average Yield at Period-End (1)
Non-Agency RMBS        
Senior
$ 1,340,949  $ 48.75  78.62  4.4  % 17.6  %
Subordinated
849,256  67.92  76.37  3.8  % 6.7  %
Interest-only
4,225,195  4.77  4.43  1.6  % 12.8  %
Agency RMBS          
Interest-only 1,067,557  9.97  6.17  1.3  % 0.7  %
Agency CMBS
Project loans
825,894  101.87  112.16  4.3  % 4.1  %
Interest-only
2,351,641  5.60  5.78  0.7  % 5.3  %
(1) Bond Equivalent Yield at period end.

  December 31, 2020
  Principal or Notional Value at Period-End
(dollars in thousands)
Weighted Average Amortized
Cost Basis
Weighted Average Fair Value Weighted Average
Coupon
Weighted Average Yield at Period-End (1)
Non-Agency RMBS        
Senior
$ 1,560,135  $ 50.65  $ 81.90  4.5  % 16.9  %
Subordinated
905,674  62.46  67.43  3.8  % 6.3  %
Interest-only
5,628,240  4.43  4.66  1.5  % 16.2  %
Agency RMBS          
Interest-only
1,262,963  9.41  7.18  1.7  % 1.6  %
Agency CMBS
Project loans
1,527,621  101.81  112.23  4.1  % 3.8  %
Interest-only
1,326,665  1.78  1.95  0.6  % 8.4  %
(1) Bond Equivalent Yield at period end.
6


At September 30, 2021 and December 31, 2020, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates.

  September 30, 2021 December 31, 2020
  (dollars in thousands)
Principal (1)
Weighted Average Borrowing Rates Range of Borrowing Rates
Principal (1)
Weighted Average Borrowing Rates Range of Borrowing Rates
Overnight $ —  NA —% - —% $ —  NA NA
1 to 29 days 1,005,444  0.37% 0.11% - 1.82% 1,521,134  0.38% 0.20% - 2.72%
30 to 59 days 109,436  1.62% 1.62% - 1.62% 481,257  4.35% 2.42% - 6.61%
60 to 89 days 245,058  1.62% 1.28% - 1.68% 352,684  2.78%  1.34% - 6.30%
90 to 119 days 455,938  1.78% 1.41% - 1.99% 301,994  7.97% 7.97% - 7.97%
120 to 180 days 526,398  1.84%  0.90% - 2.34% 595,900  5.29% 2.40% - 6.26%
180 days to 1 year 899,381  3.59%  0.94% - 4.38% 345,204  3.60% 3.25% - 4.50%
1 to 2 years 261,999  3.06% 3.04% - 3.09% —  NA NA
2 to 3 years —  NA NA 642,696  4.91% 1.65% - 7.00%
Greater than 3 years 284,682  5.56%  5.56% - 5.56% 395,978  5.56% 5.56% - 5.56%
Total $ 3,788,336  2.20% $ 4,636,847  3.41%
(1) The values for secured financing agreements in the table above is net of $3 million and $8 million of deferred financing cost as of September 30, 2021 and December 31, 2020, respectively.

The following table summarizes certain characteristics of our portfolio at September 30, 2021 and December 31, 2020.

September 30, 2021 December 31, 2020
GAAP Leverage at period-end  3.1:1 3.6:1
GAAP Leverage at period-end (recourse)  1.0:1 1.2:1

September 30, 2021 December 31, 2020 September 30, 2021 December 31, 2020
Portfolio Composition Amortized Cost Fair Value
Non-Agency RMBS
10.2  % 10.2  % 12.1  % 12.6  %
Senior
4.7  % 5.0  % 6.7  % 7.5  %
Subordinated
4.1  % 3.6  % 4.2  % 3.6  %
Interest-only
1.4  % 1.6  % 1.2  % 1.5  %
Agency RMBS
0.8  % 0.7  % 0.4  % 0.5  %
Pass-through
—  % —  % —  % —  %
Interest-only
0.8  % 0.7  % 0.4  % 0.5  %
Agency CMBS
6.9  % 10.0  % 6.9  % 10.2  %
Project loans
6.0  % 9.9  % 6.0  % 10.0  %
Interest-only
0.9  % 0.1  % 0.9  % 0.2  %
Loans held for investment 82.1  % 79.1  % 80.6  % 76.7  %
Fixed-rate percentage of portfolio
95.3  % 94.9  % 94.2  % 93.2  %
Adjustable-rate percentage of portfolio
4.7  % 5.1  % 5.8  % 6.8  %

7


Economic Net Interest Income

Our Economic net interest income is a non-GAAP financial measure that equals GAAP net interest income adjusted for net realized gains or losses on interest rate swaps, interest expense on long term debt and any interest earned on cash. Realized gains or losses on our interest rate swaps are the periodic net settlement payments made or received. We believe this presentation is useful to investors because it depicts the economic value of our investment strategy by showing all components of interest expense and net interest income. However, Economic net interest income should not be viewed in isolation and is not a substitute for net interest income computed in accordance with GAAP. Where indicated, interest expense, adjusting for interest payments on interest rate swaps, is referred to as Economic interest expense.

The following table reconciles the Economic net interest income to GAAP net interest income and Economic interest expense to GAAP interest expense for the periods presented.

  GAAP
Interest
Income
GAAP
Interest
Expense
Net Realized (Gains)
Losses on Interest Rate Swaps
Interest Expense on Long Term Debt Economic Interest
Expense
GAAP Net Interest
Income
Net Realized
Gains (Losses) on Interest Rate Swaps
Other (1)
Economic
Net
Interest
Income
For the Quarter Ended September 30, 2021 $ 220,579  $ 71,353  $ —  $ (239) $ 71,114  $ 149,226  $ —  $ 220  $ 149,446 
For the Quarter Ended June 30, 2021 $ 252,677  $ 80,610  $ —  $ (959) $ 79,651  $ 172,067  $ —  $ 936  $ 173,003 
For the Quarter Ended March 31, 2021 $ 243,127  $ 108,066  $ —  $ (1,076) $ 106,990  $ 135,061  $ —  $ 1,065  $ 136,126 
For the Quarter Ended December 31, 2020 $ 236,156  $ 120,285  $ —  $ (1,197) $ 119,088  $ 115,871  $ —  $ 1,177  $ 117,048 
For the Quarter Ended September 30, 2020 $ 247,905  $ 124,557  $ —  $ (1,495) $ 123,062  $ 123,348  $ —  $ 1,487  $ 124,835 
(1) Primarily interest expense on Long term debt and interest income on cash and cash equivalents.






8


The table below shows our average earning assets held, interest earned on assets, yield on average interest earning assets, average debt balance, economic interest expense, economic average cost of funds, economic net interest income, and net interest rate spread for the periods presented.

  For the Quarter Ended
September 30, 2021 September 30, 2020
(dollars in thousands) (dollars in thousands)
  Average
Balance
Interest Average
Yield/Cost
Average
Balance
Interest Average
Yield/Cost
Assets:            
Interest-earning assets (1):
           
Agency RMBS $ 108,341  $ 190  0.7  % $ 127,273  $ 495  1.6  %
Agency CMBS 998,132  23,933  9.6  % 1,770,009  25,571  5.8  %
Non-Agency RMBS 1,449,681  50,688  14.0  % 1,692,702  56,311  13.3  %
Loans held for investment 11,462,652  145,749  5.1  % 12,943,898  165,520  5.1  %
Total $ 14,018,806  $ 220,560  6.3  % $ 16,533,882  $ 247,897  6.0  %
Liabilities and stockholders' equity:            
Interest-bearing liabilities:             
Secured financing agreements collateralized by:
Agency RMBS $ 38,620  $ 65  0.7  % $ 76,755  $ 208  1.1  %
Agency CMBS 864,569  347  0.2  % 1,680,566  1,141  0.3  %
Non-Agency RMBS 826,989  6,822  3.3  % 1,171,542  17,495  6.0  %
Loans held for investment 2,094,438  16,434  3.1  % 2,340,689  27,814  4.8  %
Securitized debt 8,077,753  47,446  2.3  % 8,711,513  76,404  3.5  %
Total $ 11,902,369  $ 71,114  2.4  % $ 13,981,065  $ 123,062  3.5  %
Economic net interest income/net interest rate spread   $ 149,446  3.9  % $ 124,835  2.5  %
Net interest-earning assets/net interest margin $ 2,116,437    4.3  % $ 2,552,817  3.0  %
Ratio of interest-earning assets to interest bearing liabilities 1.18      1.18   
(1) Interest-earning assets at amortized cost

The table below shows our Net Income and Economic net interest income as a percentage of average stockholders' equity and Earnings available for distribution as a percentage of average common stockholders' equity. Return on average equity is defined as our GAAP net income (loss) as a percentage of average equity. Average equity is defined as the average of our beginning and ending stockholders' equity balance for the period reported. Economic Net Interest Income and Earnings available for distribution are non-GAAP measures as defined in previous sections.

  Return on Average Equity Economic Net Interest Income/Average Equity * Earnings available for distribution/Average Common Equity
  (Ratios have been annualized)
For the Quarter Ended September 30, 2021 35.47  % 15.99  % 14.54  %
For the Quarter Ended June 30, 2021 18.16  % 19.24  % 19.47  %
For the Quarter Ended March 31, 2021 17.16  % 14.82  % 12.62  %
For the Quarter Ended December 31, 2020 15.76  % 12.53  % 10.21  %
For the Quarter Ended September 30, 2020 41.43  % 14.08  % 12.24  %
* Includes effect of realized losses on interest rate swaps and excludes long term debt expense.

9


The following table presents changes to Accretable Discount (net of premiums) as it pertains to our Non-Agency RMBS portfolio, excluding premiums on IOs, during the previous five quarters.

  For the Quarters Ended
(dollars in thousands)
Accretable Discount (Net of Premiums) September 30, 2021 June 30, 2021 March 31, 2021 December 31, 2020 September 30, 2020
Balance, beginning of period $ 338,024  $ 358,562  $ 409,690  $ 422,981  $ 410,447 
Accretion of discount (21,820) (37,986) (24,023) (21,281) (20,045)
Purchases 1,995  (3,453) —  758  2,096 
Sales and deconsolidation —  (17,123) (41,651) 98  — 
Transfers from/(to) credit reserve, net 34,346  38,024  14,546  7,134  30,483 
Balance, end of period $ 352,545  $ 338,024  $ 358,562  $ 409,690  $ 422,981 

Disclaimer
This press release includes “forward-looking statements” within the meaning of the safe harbor provisions of the United States Private Securities Litigation Reform Act of 1995. Actual results may differ from expectations, estimates and projections and, consequently, readers should not rely on these forward-looking statements as predictions of future events. Words such as “expect,” “target,” “assume,” “estimate,” “project,” “budget,” “forecast,” “anticipate,” “intend,” “plan,” “may,” “will,” “could,” “should,” “believe,” “predicts,” “potential,” “continue,” and similar expressions are intended to identify such forward-looking statements. These forward-looking statements involve significant risks and uncertainties that could cause actual results to differ materially from expected results, including, among other things, those described in our most recent Annual Report on Form 10-K, and any subsequent Quarterly Reports on Form 10-Q and Current Reports on Form 8-K, under the caption “Risk Factors.” Factors that could cause actual results to differ include, but are not limited to: our business and investment strategy; our ability to accurately forecast the payment of future dividends on our common and preferred stock, and the amount of such dividends; our ability to determine accurately the fair market value of our assets; availability of investment opportunities in real estate-related and other securities, including our valuation of potential opportunities that may arise as a result of current and future market dislocations; effect of the novel coronavirus (or COVID-19) pandemic on real estate market, financial markets and our Company, including the impact on the value, availability, financing and liquidity of mortgage assets; how COVID-19 may affect us, our operations and our personnel; our expected investments; changes in the value of our investments, including negative changes resulting in margin calls related to the financing of our assets; changes in interest rates and mortgage prepayment rates; prepayments of the mortgage and other loans underlying our mortgage-backed securities, or RMBS, or other asset-backed securities, or ABS; rates of default, delinquencies or decreased recovery rates on our investments; general volatility of the securities markets in which we invest; our ability to maintain existing financing arrangements and our ability to obtain future financing arrangements; our ability to effect our strategy to securitize residential mortgage loans; interest rate mismatches between our investments and our borrowings used to finance such purchases; effects of interest rate caps on our adjustable-rate investments; the degree to which our hedging strategies may or may not protect us from interest rate volatility; the impact of and changes to various government programs, including in response to COVID-19; impact of and changes in governmental regulations, tax law and rates, accounting guidance, and similar matters; market trends in our industry, interest rates, the debt securities markets or the general economy; estimates relating to our ability to make distributions to our stockholders in the future; our understanding of our competition; availability of qualified personnel; our ability to maintain our classification as a real estate investment trust, or, REIT, for U.S. federal income tax purposes; our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended, or 1940 Act; our expectations regarding materiality or significance; and the effectiveness of our disclosure controls and procedures.
Readers are cautioned not to place undue reliance upon any forward-looking statements, which speak only as of the date made. Chimera does not undertake or accept any obligation to release publicly any updates or revisions to any forward-looking statement to reflect any change in its expectations or any change in events, conditions or circumstances on which any such statement is based. Additional information concerning these and other risk factors is contained in Chimera’s most recent filings with the Securities and Exchange Commission (SEC). All subsequent written and oral forward-looking statements concerning Chimera or matters attributable to Chimera or any person acting on its behalf are expressly qualified in their entirety by the cautionary statements above.
10


Readers are advised that the financial information in this press release is based on Company data available at the time of this presentation and, in certain circumstances, may not have been audited by the Company’s independent auditors.


11
FINANCIAL SUPPLEMENT 3rd Quarter 2021


 
Information is unaudited, estimated and subject to change. DISCLAIMER This presentation includes “forward-looking statements” within the meaning of the safe harbor provisions of the United States Private Securities Litigation Reform Act of 1995. Actual results may differ from expectations, estimates and projections and, consequently, readers should not rely on these forward-looking statements as predictions of future events. Words such as “goal” “expect,” “target,” “assume,” “estimate,” “project,” “budget,” “forecast,” “anticipate,” “intend,” “plan,” “may,” “will,” “could,” “should,” “believe,” “predicts,” “potential,” “continue,” and similar expressions are intended to identify such forward-looking statements. These forward-looking statements involve significant risks and uncertainties that could cause actual results to differ materially from expected results, including, among other things, those described in our most recent Annual Report on Form 10-K, and any subsequent Quarterly Reports on Form 10-Q and Current Report on Form 8-K, under the caption “Risk Factors.” Factors that could cause actual results to differ include, but are not limited to:our business and investment strategy; our ability to accurately forecast the payment of future dividends on our common and preferred stock, and the amount of such dividends; our ability to determine accurately the fair market value of our assets; availability of investment opportunities in real estate-related and other securities, including our valuation of potential opportunities that may arise as a result of current and future market dislocations; effect of the novel coronavirus (or COVID-19) pandemic on real estate market, financial markets and our Company, including the impact on the value, availability, financing and liquidity of mortgage assets; how COVID-19 may affect us, our operations and our personnel; our expected investments; changes in the value of our investments, including negative changes resulting in margin calls related to the financing of our assets; changes in interest rates and mortgage prepayment rates; prepayments of the mortgage and other loans underlying our mortgage-backed securities, or RMBS, or other asset-backed securities, or ABS; rates of default, delinquencies or decreased recovery rates on our investments; general volatility of the securities markets in which we invest; our ability to maintain existing financing arrangements and our ability to obtain future financing arrangements; our ability to effect our strategy to securitize residential mortgage loans; interest rate mismatches between our investments and our borrowings used to finance such purchases; effects of interest rate caps on our adjustable-rate investments; the degree to which our hedging strategies may or may not protect us from interest rate volatility; the impact of and changes to various government programs, including in response to COVID-19; impact of and changes in governmental regulations, tax law and rates, accounting guidance, and similar matters; market trends in our industry, interest rates, the debt securities markets or the general economy; estimates relating to our ability to make distributions to our stockholders in the future; our understanding of our competition; availability of qualified personnel; our ability to maintain our classification as a real estate investment trust, or, REIT, for U.S. federal income tax purposes; our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended, or 1940 Act; our expectations regarding materiality or significance; and the effectiveness of our disclosure controls and procedures. Readers are cautioned not to place undue reliance upon any forward-looking statements, which speak only as of the date made. Chimera does not undertake or accept any obligation to release publicly any updates or revisions to any forward-looking statement to reflect any change in its expectations or any change in events, conditions or circumstances on which any such statement is based. Additional information concerning these and other risk factors is contained in Chimera’s most recent filings with the Securities and Exchange Commission (SEC). All subsequent written and oral forward-looking statements concerning Chimera or matters attributable to Chimera or any person acting on its behalf are expressly qualified in their entirety by the cautionary statements above. This presentation may include industry and market data obtained through research, surveys, and studies conducted by third parties and industry publications. We have not independently verified any such market and industry data from third-party sources. This presentation is provided for discussion purposes only and may not be relied upon as legal or investment advice, nor is it intended to be inclusive of all the risks and uncertainties that should be considered. This presentation does not constitute an offer to purchase or sell any securities, nor shall it be construed to be indicative of the terms of an offer that the parties or their respective affiliates would accept. Readers are advised that the financial information in this presentation is based on company data available at the time of this presentation and, in certain circumstances, may not have been audited by the company’s independent auditors.


 
Information is unaudited, estimated and subject to change. 2 PORTFOLIO COMPOSITION 93% of Chimera's equity capital is allocated to mortgage credit Billions 3.6 3.0 0.8 8.0 Equity Recourse Non-Recourse Residential Mortgage Credit Portfolio Agency MBS Portfolio 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 Total Assets: 14.4 billion Total Assets: 1.1 billion All data is shown at carrying value as of September 30, 2021 Equity Recourse Non-Recourse


 
Information is unaudited, estimated and subject to change. 3 12% 7% 81% Non-Agency MBS Agency CMBS and RMBS Loan Portfolio GAAP ASSET ALLOCATION Based on fair value. 12% 9% 79% Non-Agency MBS Agency CMBS and RMBS Loan Portfolio September 30, 2021 June 30, 2021 Chimera continues to focus on its Residential Credit portfolios Total Portfolio: $15.6 billion Total Portfolio: $15.4 billion


 
Information is unaudited, estimated and subject to change. 4 25% 7% 1% 67% Non-Agency and Loans Secured Financing (1) Agency Secured Financing Non-Recourse Debt, Securitized RMBS Non-Recourse Debt, Securitized Loans GAAP FINANCING SOURCES 21% 8% 1%70% Non-Agency and Loans Secured Financing (1) Agency Secured Financing Non-Recourse Debt, Securitized RMBS Non-Recourse Debt, Securitized Loans (1) Includes secured financing of retained tranches from loan securitizations that are eliminated in consolidation. Securitized debt provides optimal long-term non-recourse financing for Chimera's loan portfolio September 30, 2021 June 30, 2021 Total Portfolio: $11.8 billion Total Portfolio: $12.0 billion (Rate: 2.4%) (Rate: 2.5%) (Rate: 0.2%) (Rate: 2.8%) (Rate: 0.2%) (Rate: 3.1%)


 
Information is unaudited, estimated and subject to change. 5 NON-AGENCY FINANCING Chimera continues to focus on longer term and non-mark- to-market financing for its non-agency portfolio M ill io ns 452 785 — — 117 335 327 31 Mark-to-Market Limited Mark-to-Market Non Mark-to-Market 0 - 3 Months 3 - 6 Months 6 - 12 Months Greater Than 12 Months — 250 500 750 1,000 M ill io ns 1,153 — 121 591 175 Mark-to-Market Limited Mark-to-Market Non Mark-to-Market 0 - 3 Months 3 - 6 Months 6 - 12 Months Greater Than 12 Months — 250 500 750 1,000 1,250 September 30, 2021 June 30, 2021 Total Non-Agency Secured Financing: $2.0 billion(1) Total Non-Agency Secured Financing: $2.1 billion(1) (1) Excludes secured financing on residential mortgage loans. 26


 
Information is unaudited, estimated and subject to change. 6 RESIDENTIAL MORTGAGE CREDIT PORTFOLIO AGENCY PORTFOLIO(1) TOTAL PORTFOLIO GROSS ASSET YIELD: 6.1% 8.7% 6.3% FINANCING COSTS 2.6% 0.2% 2.4% NET INTEREST SPREAD: 3.5% 8.5% 3.9% NET INTEREST MARGIN: 3.9% 8.6% 4.3% All data based on the quarter ended September 30, 2021 (1) Includes $14 million of additional income received from prepayment penalties. Gross Asset Yield is approximately 3.7% excluding these items. NET INVESTMENT ANALYSIS Strong net interest spread resulting from a reduction in financing cost


 
Information is unaudited, estimated and subject to change. 7 Chimera Subsidiaries Securitization Trusts (1) Financing Trusts Total Investments Non-Agency RMBS, at fair value $ 1,465,709 $ 424,320 $ — $ 1,890,029 Agency RMBS, at fair value 65,889 — — 65,889 Agency CMBS, at fair value 1,062,131 — — 1,062,131 Residential Mortgage Loans — 11,252,027 1,281,836 12,533,863 Total Invested Assets $ 2,593,729 $ 11,676,347 $ 1,281,836 $ 15,551,912 Securitized Debt (Non-Recourse), collateralized by: Non-Agency RMBS $ — $ 92,204 $ — $ 92,204 Residential Mortgage Loans — 7,947,644 — 7,947,644 Total Securitized Debt (Non-recourse) $ — $ 8,039,848 $ — $ 8,039,848 Invested Assets less Securitized Debt $ 2,593,729 $ 3,636,499 $ 1,281,836 $ 7,512,064 Secured Financing Agreements (Recourse): Non-Agency RMBS $ 741,488 $ 109,436 $ — $ 850,924 Agency RMBS 24,700 — — 24,700 Agency CMBS 795,873 — — 795,873 Residential Mortgage Loans — 1,195,738 921,101 2,116,839 Total Secured Financing Agreements $ 1,562,061 $ 1,305,174 $ 921,101 $ 3,788,336 Net Assets $ 1,031,668 $ 2,331,325 $ 360,735 $ 3,723,728 All data as of September 30, 2021 $ in thousands (1) Includes $870 million of loans account for as secured borrowings and $657 million of securitized debt (non-recourse). NET ASSET BREAKDOWN Chimera invests in RMBS securities and securities created through the CIM Sponsored securitizations. Loans are financed through Financing Trusts.


 
Information is unaudited, estimated and subject to change. 8 VINTAGE DEAL TOTAL ORIGINAL FACE TOTAL OF TRANCHES SOLD TOTAL OF TRANCHES RETAINED TOTAL REMAINING FACE REMAINING FACE OF TRANCHES SOLD REMAINING FACE OF TRANCHES RETAINED Call Date 2021 CIM 2021-R5 $450,396 $382,836 $67,560 $445,257 $377,897 $67,360 August 2024 2021 CIM 2021-R4 545,684 463,831 81,853 511,480 429,228 82,252 June 2024 2021 CIM 2021-R3 859,735 730,775 128,960 772,625 642,650 129,975 April 2024 2021 CIM 2021-NR3 117,373 82,161 35,212 106,035 71,638 34,397 April 2022 2021 CIM 2021-R2 1,497,213 1,272,631 224,582 1,309,102 1,081,840 227,262 March 2025 2021 CIM 2021-NR2 240,425 180,318 60,107 218,423 157,541 60,882 March 2022 2021 CIM 2021-R1 2,098,584 1,783,797 314,787 1,813,623 1,493,530 320,093 February 2025 2021 CIM 2021-NR1 232,682 162,877 69,805 202,702 130,228 72,474 February 2022 2020 CIM 2020-NR1 131,860 84,165 47,695 119,930 67,185 52,745 November 2021 2020 CIM 2020-R7(1) 653,192 562,023 91,169 555,985 464,813 91,172 November 2023 2020 CIM 2020-R6 418,390 334,151 84,239 359,048 274,879 84,169 October 2023 2020 CIM 2020-R5 338,416 257,027 81,389 248,528 166,829 81,699 Clean-up Call 2020 CIM 2020-R4 276,316 207,237 69,079 239,851 170,484 69,367 June 2022 2020 CIM 2020-R3 438,228 328,670 109,558 349,755 240,230 109,525 May 2022 2020 CIM 2020-R2 492,347 351,926 140,421 394,036 319,681 74,355 Clean-up Call 2020 CIM 2020-R1 390,761 317,608 73,153 324,649 251,493 73,156 February 2023 2019 CIM 2019-R5 315,039 252,224 62,815 226,051 163,381 62,670 Clean-up Call 2019 CIM 2019-R4 320,802 200,000 120,802 240,588 176,744 63,844 November 2022 2019 CIM 2019-R3(1) 342,633 291,237 51,396 239,834 188,098 51,736 October 2022 2019 CIM 2019-R2 464,327 358,172 106,155 375,557 270,542 105,015 Clean-up Call 2019 CIM 2019-R1 371,762 297,409 74,353 292,640 218,669 73,971 August 2022 2018 CIM 2018-R6 478,251 334,775 143,476 298,733 157,626 141,107 October 2021 2018 CIM 2018-R5 380,194 266,136 114,058 220,766 109,717 111,049 July 2021 2018 CIM 2018-R3 181,073 146,669 34,404 95,891 62,685 33,206 April 2023 2017 CIM 2017-7 512,446 341,062 171,384 300,224 143,875 156,349 September 2022 2016 CIM 2016-FRE1 185,811 115,165 70,646 92,387 33,134 59,253 November 2021 2012 CSMC 2012-CIM3 329,886 305,804 24,082 29,188 22,368 6,820 Clean-up Call 2008 PHHMC 2008-CIM1 619,710 549,142 70,568 10,908 8,009 2,899 Clean-up Call TOTAL $13,683,536 $10,959,828 $2,723,708 $10,393,796 $7,894,994 $2,498,802 All data as of September 30, 2021 $ in thousands (1) Accounted for as a secured borrowing CONSOLIDATED LOAN SECURITIZATIONS


 
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